Kräussl, Roman; Lucas, André; Rijsbergen, David R.; … - In: Journal of International Money and Finance 43 (2014) C, pp. 50-69
We show that the annual excess return of the S&P 500 is almost 10 percent higher during the last two years of the presidential cycle than during the first two years. This pattern cannot be explained by business-cycle variables capturing time-varying risk premia, differences in risk levels, or by...